Suppose {X(t),t 0} is the standard Brownian process, its corresponding reflected Brownian process is defined by

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Suppose {X(t),t ≥ 0} is the standard Brownian process, its corresponding reflected Brownian process is defined by

Show that Y(t) is also Markovian and its mean and variance are, respectively,

and E[Y]: var(Y) = Tale 2t 2 = (-) . 1 t.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 02, 2023 03:16 AM

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Suppose {X(t),t 0} is the standard Brownian process, its corresponding reflected Brownian process is defined by

Question:

Y(t) = X(t), t≥ 0.

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The reflected Brownian motion Yt defined as the absolute value of the standard Brownian motion X t a...View the full answer

Mathematical Models Of Financial Derivative

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